Machine Learning for Crypto Portfolio Management Case Study: Week 28
Announcement: Binance will be blocking any remaining US customers from accessing the Binance exchange. That means the Shrimpy team will need to migrate this study to another exchange in the coming weeks. The transition will not happen this week, but we will keep everyone updated with the latest information about the migration as we learn more. We will do everything we can to make the transition as smooth as possible.
Over the last 6 months, our team has been tracking the performance of 4 different portfolio strategies. These include portfolios selected using Machine Learning, CoinGecko, market-cap indexing, and a simple Bitcoin HODL.
The last week saw Bitcoin putting up some impressive numbers. Although all the portfolios experienced growth this week, Bitcoin was no doubt the star of the show. However, the machine learning strategy was not far behind this week. After a few consecutive poor weeks, it’s exciting to see the machine learning predictions came out strong this week. Keep reading for the rest of the discussion!
Reminder: The methodology for this study was first outlined in our previous article.
Follow the progress of this study on Shrimpy.
Week 27 Results
The study so far has been a steady mix of shock and awe. Last week was no exception. Bitcoin put up huge numbers last week as the price skyrocketed to nearly $16,800. By the end of the week, Bitcoin settled for an outstanding 10.61% price increase.
Although Bitcoin took the spotlight, other strategies like the machine learning predictions weren’t far behind. After months of asking the question of whether Bitcoin will ever catch up to the performance of the machine learning strategy, we can definitively say: Yes. Bitcoin is more than capable of catching and even surpassing the performance of the other strategies in this study. However, we still wonder if it will be able to maintain its trajectory and continue the steady growth.
#1 Bitcoin
Bitcoin saw fantastic gains throughout the week. The steady performance throughout the week resulted in a 10.61% final price increase. Although Bitcoin stalled mid-week, it provided support for Bitcoin to continue climbing towards the end of the week. The continued growth for Bitcoin over the last month paints a hopeful future for Bitcoin reaching all-time highs in the coming months.
Bitcoin is no longer the worst performing portfolio in this study.
Final Bitcoin portfolio value: $1,956.76.
#2 Top 10 Index
Due to the steady performance of Bitcoin, it was expected that a portfolio based on a market-weighted index would also experience similar performance over the course of the last week since Bitcoin held approximately 77% of the value in the portfolio.
After 6 months of rebalancing the index-based portfolio, it’s interesting to see how the performance has compared to a portfolio comprised of only Bitcoin Although the performance is comparable now, we’ve seen the performance of the index portfolio steady outperform Bitcoin in the past.
Final Top 10 Index portfolio value: $1,950.46.
#3 Coin Gecko
The Coin Gecko portfolio experienced moderate performance this week, due to the strong performance of Bitcoin and some other large cap assets. This ended up being the worst performing portfolio out of the 4 portfolios being evaluated.
CoinGecko is still the worst performing portfolio out of the 4 portfolios being studied.
The biggest winners selected by the Coin Gecko strategy were:
XRP (XRP): +17.36% Last 7 days
Bitcoin (BTC): +10.22% Last 7 days
Stellar (XLM): +5.56% Last 7 days
Ethereum (ETH): +5.25% Last 7 days
EOS (EOS): +5.09% Last 7 days
The biggest losers selected by the Coin Gecko strategy this week were:
Bitcoin Cash (BCH): -3.98% Last 7 days
Coin Gecko is now the worst performing portfolio since the beginning of the study. This last week saw a reasonable selection of assets, but other portfolios still managed to outperform CoinGecko. This could be attributed to some large-cap assets having only small performance changes over the last week.
Final Coin Gecko portfolio value: $1,694.34.
#4 Nomics ML
The Nomics Machine Learning strategy has kept its lead, but was the second-worst performing portfolio this week. With a projected profit for this week of 36.15%, the last 7 days underperformed the projections with a +8.80% performance change. This week, the price predictions didn’t live up to our expectations, even though they almost matched the performance of Bitcoin.
The biggest winners selected by the Nomics ML strategy were:
THORChain (RUNE): +54.41% Last 7 days
Aave (AAVE): +38.21% Last 7 days
Reserve Rights (RSR): +22.60% Last 7 days
Decred (DCR): +13.16% Last 7 days
Solana (SOL): +14.76% Last 7 days
NEM (XEM): +10.22% Last 7 days
Synthetix Network Token (SNX): +9.87% Last 7 days
The biggest losers selected by the machine learning strategy this week were:
Decentraland (MANA): -26.83% Last 7 days
After numerous weeks of poor performance, it’s great to see Nomics reversing the trend. Nomics was able to identify 7 assets that performed exceptionally well. 5 of those assets performed even better than Bitcoin, which had a fantastic week. Hopefully, the machine learning strategy can continue the trend and turn the previous losing streak around.
Final Nomics ML portfolio value: $2,032.43.
Conclusions
The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. However, that all changed last week when Bitcoin overtook the Nomics ML strategy for the first time since the second week of the study. Although it was only for a single day, it’s a signal that the machine learning strategy no longer has the strong footing it once had.
We can’t wait to see what the next weeks bring.
Note: The conclusions drawn here are based on anecdotal evidence. Please take them with a grain of salt.
The purpose of this study is to evaluate each of these strategies over the long-term. We cannot yet draw any conclusions for the long-term potential of these strategies after only a few months. As a result, we should take these results with a grain of salt.
Notable Leaders
We are excited to see the Nomics ML case study has inspired a wave of leaders that are leveraging the Nomics data to implement novel strategies.
This week, we will be highlight XTSLabs, who has ported a similar version of the MLCaseStudy portfolio to Coinbase Pro, Bittrex, and Binance US. However, he has added elements of rebalancing in an attempt to maximize the results of the Nomics portfolio strategy.
XTSLabs
XTSLabs currently runs 4 different leader profiles. These leader profiles include:
XTSLabsCBP - A Nomics ML portfolio being automated on Coinbase Pro.
XTSLabsBinUS - A Nomics ML portfolio being automated on Binance US.
XTSLabsBittrex - A Nomics ML portfolio being automated on Bittrex.
XTSLabsBin - A Nomics ML portfolio being automated on Binance.
Unlike the MLCaseStudy portfolio that is managed by the Shrimpy team, these portfolios leverage a 1% threshold rebalance. That allows each of these portfolios to rebalance throughout the week as the market becomes volatile.
With a portfolio increase of +2.60% on Binance US over the last 7 days, XTSLabsBinUS has outperformed 43% of leaders on Shrimpy. This is a reasonable result for the machine learning price predictions, but there is certainly still room for improvement.
XTSLabs was also kind enough to provide the balance changes for these portfolios over time. Starting with an initial $1,000 balance for each portfolio, we can see how the performance of running this machine learning strategy changes based on the exchange.
The Bittrex portfolio has just overtaken Coinbase Pro as the best performing portfolio out of the 4 different exchanges that are supported by XTSLabs.
Week 28 Strategy Changes
Now that we have covered the results from the last week, it’s time to break down how we will change each of these portfolios for the coming week.
Nomics ML Strategy
The Nomics ML Strategy leverages the 7-day price predictions generated by the Nomics ML engine. These price predictions are then used to determine which assets should be placed into our portfolio for this week. Additional information regarding the methodology can be found in our previous article.
Portfolio Allocations
The following assets were allocated exactly 10% of the portfolio value for the second week of this study.
1. THORChain (RUNE)
Projected 7-day profit: +46.36%
2. Blockstack (STX)
Projected 7-day profit: +20.49%
3. Waves (WAVES)
Projected 7-day profit: +17.97%
4. Litecoin (LTC)
Projected 7-day profit: +17.72%
5. Reserve Rights (RSR)
Projected 7-day profit: +14.56%
6. Dash (DASH)
Projected 7-day profit: +14.17%
7. Kyber Network (KNC)
Projected 7-day profit: +12.11%
8. UMA (UMA)
Projected 7-day profit: +9.28%
9. XRP (XRP)
Projected 7-day profit: +9.08%
10. NEM (XEM)
Projected 7-day profit: +8.47%
Reminder: We are only including the assets that are available on Binance in this portfolio.
The average performance estimate is 17.02% for the next 7 days for this portfolio.
Coin Gecko Score Strategy
The Coin Gecko Score Strategy uses the “Gecko” score that is calculated by the popular data site “CoinGecko”. These asset scores are used to determine the most promising long-term assets that should be included in a portfolio. Additional information regarding the methodology can be found in our previous article.
Update: Unfortunately, sometime over the last few weeks, Coin Gecko has decided to stop publishing a “Gecko” score. We are unsure why this is the case, but this will force us to use the last “Gecko” score we were able to collect from their website.
Portfolio Allocations
The following assets were allocated exactly 10% of the portfolio value for the first week of this study.
1. Bitcoin (BTC) - Last Available Score: 82%
2. Ethereum (ETH) - Last Available Score: 74%
3. EOS (EOS) - Last Available Score: 68%
4. XRP (XRP) - Last Available Score: 67%
5. Stellar (XLM) - Last Available Score: 65%
6. Bitcoin Cash (BCH) - Last Available Score: 65%
7. TRON (TRX) - Last Available Score: 64%
8. Chainlink (LINK) - Last Available Score: 64%
9. NEO (NEO) - Last Available Score: 63%
10. Monero (XMR) - Last Available Score: 63%
Note: From now until the end of the study, the Coin Gecko assets will remain the same. All assets will maintain a 10% allocation and rebalance to re-align current allocations with the target allocations.
Coin Market Cap Index Strategy
The Coin Market Cap Index Strategy uses the asset market caps that are calculated by “CoinMarketCap” to determine which assets should be included in the portfolio. Additional information regarding the methodology can be found in our previous article.
Portfolio Allocations
The allocations for the Top 10 Index portfolio strategy will be the following this week.
1. Bitcoin (BTC): 77.23% Allocation
2. Ethereum (ETH): 13.13% Allocation
3. XRP (XRP): 2.43% Allocation
4. Chainlink (LINK): 1.26% Allocation
5. Litecoin (LTC): 1.22% Allocation
6. Bitcoin Cash (BCH): 1.17% Allocation
7. Polkadot (DOT): 1.06% Allocation
8. Binance Coin (BNB): 1.03% Allocation
9. Cardano (ADA): 0.84% Allocation
10. EOS (EOS): 0.63% Allocation
Note: No assets were added or removed from the index this week. We will just adjust the allocations to match the new percentages and execute a single rebalance operation.
Bitcoin Hold Strategy
The most simple of the strategies we will be exploring is a simple Bitcoin HODL. The Bitcoin HODL strategy will allow us to benchmark these other strategies against the price performance of Bitcoin. Additional information regarding the methodology can be found in our previous article.
Portfolio Allocations
100% Bitcoin
Note: There will be no changes or rebalances for the Bitcoin HODL portfolio.
Follow Along with Shrimpy
Everyone can follow along with this study by tracking the portfolio changes and performance inside the Shrimpy application. We have created a leader on the Binance exchange named MLCaseStudy. This leader will be updated on a weekly bases to include the latest portfolio allocations.
Follow MLCaseStudy on Shrimpy.
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